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Guillaume Beaud INVESTOR

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I'm new to Quantconnect and I'm having a very hard time understanding the API. I tried to create a trading bot in Python to execute trades on GDAX 24/24 on BTC/EUR, ETH/EUR, BCH/EUR.

My strategy is to trade like this :

Use the Heikin Ashi candle on a 4h timeframe
If the previous Heikin Ashi candle is green and the last candle is red => create a sell limit order (with 50% of the holdings) with value = current_price + 0.0001
If the previous Heikin Ashi candle is red and the last candle is green => create a buy limit order (with 50% of the holdings) with value = current_price - 0.0001

I understood that I need to :

Create a 4-hour consolidator: consolidator = QuoteBarConsolidator(timedelta(hours = 4))
Create a HeikinAshi using the constructor: self.heikin_ashi = HeikinAshi(name)
Register the indicator: self.RegisterIndicator("BTCEUR", self.heikin_ashi, consolidator)

But after trying different ways it doesn't work.. I don't know how to orchestrate my code. Can someone please help ? :)

Many thanks !

Guillaume

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Guillaume Beaud

Accepted Answer

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Petter Hansson

10.5k ,

Hello,

please define "does not work" further for somebody to be able to help you. An algo can not work as in not making money, or otherwise have a technical problem (e.g. not makethe intended trades), the former of which is way more difficult to solve than the other.

Guillaume Beaud

30 ,

Dear Petter,

Thanks for your answer. It is a programming problem and not a "financial strategy" problem.

For the moment I have this piece of code and I was trying to just buy 100% of BTC at the start date to get familiar with the backtesting environment but the backtest is running for about 10 minutes and ends up saying "Runtime Error: System.Exception: Algorithm took longer than 10 minutes on a single time loop.".

from datetime import datetime, timedelta



class BasicTemplateAlgorithm(QCAlgorithm):



    def Initialize(self):



        self.SetStartDate(2017, 12, 11)   # Set Start Date

        self.SetEndDate(2017, 12, 14)    # Set End Date

        self.SetCash(10000)            # Set Strategy Cash

        self.btc = self.AddCrypto("BTCEUR", Resolution.Hour).Symbol

        

        consolidator = QuoteBarConsolidator(timedelta(hours = 4))

        self.heikin_ashi = HeikinAshi("BTCEUR")

        



    def OnData(self, data):



        self.SetHoldings(self.btc, 100)   # Buy 100% of Equity of BTCUSD

Moreover I don't know how to instruct my program to do this :

Use the Heikin Ashi candle on a 4h timeframe
If the previous Heikin Ashi candle is green and the last candle is red => create a sell limit order (with 50% of the holdings) with value = current_price + 0.0001
If the previous Heikin Ashi candle is red and the last candle is green => create a buy limit order (with 50% of the holdings) with value = current_price - 0.0001

I've been looking at the heikin ashi's functions in the API and I found no function that allows to use color switches.. Any help is very welcome ! Thanks ! Guillaume

Guillaume Beaud INVESTOR

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